Via Inama 5
University of Trento - Department of Economics and Management
in Total Papers Downloads
Pairs trading, Gaussian mixture, Hidden Markov Model, Cointegration
Copula, Tail dependence, Loss model, Portfolio model
Truncated distribution, Loss model, EM algorithm, Capital at Risk
This is a Risk Journals paper. Risk Journals charges $73.00 .
File name: SSRN-id4039880.pdf
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
loss model, dependence structure, vine copula, value-at-risk, regulatory capital
This page was processed by aws-apollo-5dc in 0.234 seconds